Multivariate subexponential distributions and their applications

DOI10.1007/S10687-016-0242-8zbMATH Open1385.60034arXiv1509.05353OpenAlexW2241383893MaRDI QIDQ291400FDOQ291400

Authors: Gennady Samorodnitsky, Julian Sun 

Publication date: 7 June 2016

Published in: Extremes (Search for Journal in Brave)

Abstract: We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute the asymptotic behaviour of the ruin probability in the context of an insurance portfolio, when multivariate subexponentiality holds. Previously such results were available only in the case of multivariate regularly varying claims.

Full work available at URL: https://arxiv.org/abs/1509.05353

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zbMATH Keywords

heavy tailsmultivariateregular variationruin probabilityinsurance portfoliosubexponential distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70)

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Cited In (26)

• Risk measures and multivariate extensions of Breiman's theorem
• On the long tail property of product convolution
• Pandemic-type failures in multivariate Brownian risk models
• Multivariate lagrange distributions and a subfamiliy
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Continuous scaled phase-type distributions
• Simultaneous ruin probability for two-dimensional Brownian risk model
• On directional convolution equivalent densities
• Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
• Subexponential potential asymptotics with applications
• Multivariate subexponential distributions
• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• Kesten's bound for subexponential densities on the real line and its multi-dimensional analogues
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Exponential densities and compound Poisson measures
• Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
• Aggregate survival probability of a portfolio with dependent subportfolios.
• Stability and busy periods in a multiclass queue with state-dependent arrival rates
• Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
• A \(2\times 2\) random switching model and its dual risk model
• On the use of the multivariate stochastic order in risk theory
• Multi-normex distributions for the sum of random vectors. Rates of convergence
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• Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
• A necessary and sufficient condition for the subexponentiality of the product convolution
• Multivariate subexponential distributions and random sums of random vectors

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